Trend-Following Backtester · Guide · backtest 한국어
etf · HK
iShares Core MSCI Asia ex Japan ETF backtest
10 trend-following strategies were compared on the full daily history of iShares Core MSCI Asia ex Japan ETF. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. Its 97% market exposure makes it hold-like.
Results by strategy
0 of 10 beat buy and hold (CAGR 22.5%, drawdown -90.7%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR -17.0%, MDD -99.9%, Sharpe 2.77, 97% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.
CAGR reference leader: ADX / DI 방향성 — CAGR 0.8%, MDD -12.8%, exposure 4%.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
The alternative must retain 75% of buy-and-hold CAGR, improve drawdown by at least 20% and 5 percentage points, and stay below 95% exposure; the ranking weights return retention 60% and drawdown improvement 40%.
| Strategy · parameters | CAGR | MDD | Sharpe | Calmar | Total | Trades | Exposure |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 Hold-like · Exposure 97% entryN=1, exitN=110 |
-17.0% | -99.9% | 2.77 | -0.17 | 0.0x | 95 | 97% |
| Supertrend period=18, mult=3.7 |
-76.1% | -100.0% | 2.61 | -0.76 | 0.0x | 158 | 66% |
| ROC 모멘텀 n=7, threshold=-0.07 |
-99.6% | -100.0% | 2.22 | -1.00 | 0.0x | 313 | 95% |
| SMA 크로스오버 fast=47, slow=48 |
-58.9% | -100.0% | 2.17 | -0.59 | 0.0x | 591 | 59% |
| EMA 크로스오버 fast=59, slow=193 |
-81.1% | -100.0% | 1.75 | -0.81 | 0.0x | 43 | 60% |
| MACD fast=18, slow=43, signal=18 |
-100.0% | -100.0% | 1.34 | -1.00 | 0.0x | 338 | 49% |
| Parabolic SAR step=0.005, maxStep=0.34 |
-100.0% | -100.0% | 0.29 | -1.00 | 0.0x | 298 | 57% |
| ADX / DI 방향성 period=41, threshold=26 |
0.8% | -12.8% | 0.28 | 0.06 | 1.2x | 6 | 4% |
| Keltner 채널 돌파 emaPeriod=23, atrPeriod=23, mult=3.7 |
-38.6% | -100.0% | 0.08 | -0.39 | 0.0x | 66 | 15% |
| 볼린저 밴드 돌파 n=53, k=3.4 |
-0.4% | -12.8% | -0.15 | -0.03 | 0.9x | 4 | 1% |
| Buy and hold | 22.5% | -90.7% | 2.81 | 0.25 | 33.9x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 1 days
- Sell — Sell when price breaks below the lowest low of the last 110 days